Examining the effect of RBA target rate news on the interest rate futures market
This paper examines the interest rate futures market reaction to the release of RBA target rate news using daily data within an EGARCH framework. The study finds evidence that interest rate futures react to the news component of target rate announcements across the maturity spectrum, with a stronger...
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| Format: | Journal Article |
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2011
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| Online Access: | http://hdl.handle.net/20.500.11937/18372 |